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Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive)

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Viewing: 1 - 50 of 63 papers

1.

Ease-of-processing Heuristics and Asset Prices: Evidence from the Exchange-traded Repo Market in China

Number of pages: 46 Posted: 01 Mar 2019 Last Revised: 13 Nov 2019
Working Paper Series
Xuyun Fang, Zhiqian Jiang, Baixiao Liu, John J. McConnell and Mingshan Zhou
China Life Asset Management Company Ltd., Florida State University, College of Business, Department of Finance, Florida State University, Purdue University and Southwestern University of Finance and Economics (SWUFE)
Downloads 72
2.

Why Trade Over-the-Counter? When Investors Want Price Discrimination

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 07 Jun 2018
Working Paper Series
Tomy Lee and Chaojun Wang
CEU and University of Pennsylvania - The Wharton School

Multiple version iconThere are 2 versions of this paper

Downloads 32
3.

Efficient Bubbles?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 64 Posted: 06 Jun 2018
Working Paper Series
Valentin Haddad, Paul Ho and Erik Loualiche
University of California, Los Angeles (UCLA) - Anderson School of Management, Federal Reserve Banks - Federal Reserve Bank of Richmond and University of Minnesota, Finance
Downloads 41
4.

System 1, System 2, and Speculative Trading

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 06 Jun 2018 Last Revised: 13 Feb 2019
Working Paper Series
M. Martin Boyer and Samuel Ouzan
HEC Montreal - Department of Finance and Neoma Business School
Downloads 27
5.

The Exchange Rate Disconnect and the Bank Lending Channel: Evidence from Switzerland

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 49 Posted: 05 Jun 2018
Working Paper Series
Isha Agarwal
Cornell University
Downloads 15
6.

Beta Risk in the Cross-Section of Equities

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 86 Posted: 05 Jun 2018
Working Paper Series
Ali Boloorforoosh, Peter Christoffersen, Christian Gourieroux and Mathieu Fournier
Concordia University, University of Toronto - Rotman School of Management, University of Toronto - Department of Economics and HEC Montreal

Multiple version iconThere are 2 versions of this paper

Downloads 49
7.

Special Repo Rates and the Cross-Section of Bond Prices

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 39 Posted: 05 Jun 2018
Working Paper Series
Stefania D'Amico and N. Aaron Pancost
Federal Reserve Bank of Chicago and University of Texas at Austin McCombs School of Business
Downloads 25
8.

Banks Defy Gravity

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 05 Jun 2018 Last Revised: 28 Jun 2018
Working Paper Series
Anne-Laure Delatte, Vincent Bouvatier and Gunther Capelle-Blancard
CNRS, University Paris-Est Créteil (UPEC) - ERUDITE and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 49
9.

The Informational Value of Consensus Prices: Evidence from the OTC Derivatives Market

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 45 Posted: 05 Jun 2018
Working Paper Series
Lerby Murat Ergun and Andreas Uthemann
London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 15
10.

Macro Risks and the Term Structure of Interest Rates

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72 Posted: 05 Jun 2018 Last Revised: 06 Dec 2019
Working Paper Series
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia Business School - Finance and Economics, U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets and Fordham University - Gabelli School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 30
11.

Performance-Based Turnover on Corporate Boards

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 05 Jun 2018
Working Paper Series
Thomas W. Bates, David Becher and Jared I. Wilson
Arizona State University - Department of Finance, Drexel University and Indiana University - Kelley School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 45
12.

Trading Complex Risks

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 71 Posted: 05 Jun 2018
Working Paper Series
Felix Fattinger
University of Melbourne - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 22
13.

Lending Technologies and Lending Relationships

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 48 Posted: 05 Jun 2018
Working Paper Series
Artashes Karapetyan and Bogdan Stacescu
ESSEC Business School and BI Norwegian Business School
Downloads 14
14.

OTC Discount

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 04 Jun 2018
Working Paper Series
Calebe de Roure, Emanuel Moench, Loriana Pelizzon and Michael Schneider
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 26
15.

What If Dividends Were Tax‐Exempt? Evidence from a Natural Experiment

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 04 Jun 2018 Last Revised: 16 May 2019
Working Paper Series
Dušan Isakov, Christophe Perignon and Jean-Philippe Weisskopf
University of Fribourg - Faculty of Economics and Social Science, HEC Paris - Finance Department and Ecole hôtelière de Lausanne
Downloads 96
16.

Electronic Trading in OTC Markets vs. Centralized Exchange

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 04 Jun 2018
Working Paper Series
Ying Liu, Sebastian Vogel and Yuan Zhang
Shanghai University of Finance and Economics - Department of Finance, Swiss Finance Institute and Ecole Polytechnique Fédérale de Lausanne

Multiple version iconThere are 2 versions of this paper

Downloads 26
17.

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 04 Jun 2018 Last Revised: 28 Oct 2019
Working Paper Series
Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University

Multiple version iconThere are 2 versions of this paper

Downloads 46
18.

Learning from Noise? Price and Liquidity Spillovers Around Mutual Fund Fire Sales

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 77 Posted: 04 Jun 2018
Working Paper Series
Pekka Honkanen and Daniel Schmidt
HEC Paris and HEC Paris - Finance Department
Downloads 35
19.

Operating Leverage, Coordination Failures, and Systematic Risk

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 04 Jun 2018 Last Revised: 16 Jun 2019
Working Paper Series
Matthieu Bouvard and Adolfo de Motta
University of Toulouse 1 - Toulouse School of Economics (TSE) and McGill University - Desautels Faculty of Management
Downloads 18
20.

News from Other Industries: Overgeneralization and Analyst Beliefs

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 04 Jun 2018 Last Revised: 23 Oct 2019
Working Paper Series
Renjie Wang
VU Amsterdam, School of Business and Economics
Downloads 71
21.

Exogenous Shocks and Real Effects of Financial Constraints: Loan- and Firm-Level Evidence around Natural Disasters

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 04 Jun 2018 Last Revised: 06 May 2019
Working Paper Series
Ai He
University of South Carolina - Darla Moore School of Business
22.

Friends at WSJ

Number of pages: 58 Posted: 04 Jun 2018 Last Revised: 08 Nov 2019
Working Paper Series
Guosong Xu
Rotterdam School of Management, Erasmus University
Downloads 179
23.

Is Normal Backwardation Normal? Valuing Financial Futures with a Stochastic, Endogenous Index-Rate Covariance

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 04 Jun 2018
Working Paper Series
Philippe Raimbourg and Paul Zimmermann
Université Paris I Panthéon-Sorbonne and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 13
24.

Fragmentation and the Price Discovery Dynamics: The Contributions of Multilateral Trading Facilities and Regulated Market

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 04 Jun 2018 Last Revised: 26 Jan 2019
Working Paper Series
Roland L. Gillet and Stéphanie Ligot
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne (PRISM Sorbonne and Labex RéFi)
25.

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 46 Posted: 04 Jun 2018 Last Revised: 26 Jan 2019
Working Paper Series
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon and Roberto Renò
European Union - JRC-Ispra, European Commision, Aarhus University - CREATES, University of Manchester - Manchester Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Verona - Department of Economics
Downloads 73
26.

Correcting Alpha Misattribution in Portfolio Sorts

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 04 Jun 2018 Last Revised: 10 Jan 2019
Working Paper Series
Daniel Hoechle, Markus Schmid and Heinz Zimmermann
FHNW School of Business - Institute for Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 63
27.

International Capital Markets with Time-Varying Preferences

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 04 Jun 2018
Working Paper Series
Giuliano Curatola and Ilya Dergunov
University of Siena - Department of Economics and Statistics and Australian National University (ANU)

Multiple version iconThere are 2 versions of this paper

Downloads 9
28.

Short Selling and Excess Return Correlation

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 38 Posted: 04 Jun 2018
Working Paper Series
Marco Valerio Geraci, Jean-Yves Gnabo and David Veredas
University of Cambridge - Cambridge-INET Institute, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Vlerick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 60
29.

The Impact of Renegotiable Debt on Firms

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 75 Posted: 04 Jun 2018
Working Paper Series
Marc Arnold and Ramona Westermann
University of St. Gallen - School of Finance and Copenhagen Business School

Multiple version iconThere are 2 versions of this paper

Downloads 23
30.

Dynamic Adverse Selection and Liquidity

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 44 Posted: 04 Jun 2018 Last Revised: 11 Dec 2019
Working Paper Series
Ioanid Rosu
HEC Paris - Finance Department
Downloads 23
31.

Disastrous Defaults

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 63 Posted: 01 Jun 2018 Last Revised: 04 Jan 2020
Working Paper Series
Christian Gourieroux, Alain Monfort, Sarah Mouabbi and Jean-Paul Renne
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 41
32.

A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 01 Jun 2018
Working Paper Series
Serge Darolles, Gaëlle Le Fol, Yang Lu and Theo Ran Sun
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, University of Paris 13 and Université Paris-Dauphine, PSL Research University
33.

Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 59 Posted: 01 Jun 2018
Working Paper Series
Hedi Benamar, Thierry Foucault and Clara Vega
Board of Governors of the Federal Reserve System, HEC Paris - Finance Department and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 22
34.

Employment Protection and Share Repurchases: Evidence from Wrongful Discharge Laws

Number of pages: 65 Posted: 01 Jun 2018 Last Revised: 07 Apr 2019
Working Paper Series
Viet Anh Dang, Amedeo De Cesari and Hieu V. Phan
Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School - Finance & Accounting Group and University of Massachusetts Lowell
Downloads 60
35.

Monetary Policy and Equity Valuation

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 31 May 2018 Last Revised: 17 Nov 2018
Working Paper Series
Nicolas Mougeot
John Molson School of Business, Concordia University
Downloads 46
36.

Are Investors Aware of Ownership Connections?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 48 Posted: 29 May 2018
Working Paper Series
Edith Ginglinger, Camille Hebert and Luc Renneboog
Université Paris-Dauphine, PSL Research University, University of Toronto - Rotman School of Management and Tilburg University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 82
37.

Labor Links and Shock Transmissions

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 70 Posted: 25 May 2018 Last Revised: 20 Oct 2019
Working Paper Series
Yukun Liu and Xi Wu
University of Rochester - Simon Business School and New York University (NYU) - Leonard N. Stern School of Business
Downloads 667
38.

Contagious Bank Runs and Dealer of Last Resort

Paris December 2018 Finance Meeting EUROFIDAI - AFFI, WBS Finance Group Research Paper No. 250
Number of pages: 60 Posted: 24 May 2018 Last Revised: 26 Dec 2019
Working Paper Series
Zhao Li and Kebin Ma
University of International Business and Economics (UIBE) - School of Banking and Finance and University of Warwick - Finance Group
Downloads 63
39.

The Origins and Real Effects of the Gender Gap: Evidence from CEOs' Formative Years

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 98 Posted: 07 May 2018 Last Revised: 09 Dec 2019
Working Paper Series
Ran Duchin, Mikhail Simutin and Denis Sosyura
University of Washington - Michael G. Foster School of Business, University of Toronto - Rotman School of Management and Arizona State University
Downloads 381
40.

Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 30 Apr 2018
Working Paper Series
Oscar Arce, Miguel Garcia-Posada, Sergio Mayordomo and Steven Ongena
Banco de España, Banco de España, Banco de España and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 3 versions of this paper

Downloads 9
41.

Litigating Innovation: Evidence from Securities Class Action Lawsuits

European Corporate Governance Institute - Finance Working Paper No. 614/2019
Number of pages: 84 Posted: 22 Mar 2018 Last Revised: 02 Jan 2020
Accepted Paper Series
Elisabeth Kempf and Oliver G. Spalt
University of Chicago - Booth School of Business and University of Mannheim - Business School
Downloads 497
42.

Deposit Windfalls and Bank Reporting Quality: Evidence from Shale Booms

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 21 Mar 2018 Last Revised: 27 Jul 2018
Working Paper Series
Xi Wu
New York University (NYU) - Leonard N. Stern School of Business
Downloads 195
43.

Measuring Skewness Premia

HEC Paris Research Paper No. FIN-2018-1256, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 65 Posted: 20 Mar 2018 Last Revised: 25 Jan 2019
Working Paper Series
Hugues Langlois
HEC Paris - Finance Department
Downloads 327
44.

The Impact of Recency Effects on Stock Market Prices

31st Australasian Finance and Banking Conference 2018, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 76 Posted: 07 Mar 2018 Last Revised: 06 Apr 2019
Working Paper Series
Hannes Mohrschladt
University of Muenster - Finance Center
Downloads 481
45.

Rediscover Predictability: Information from the Relative Prices of Long-Term and Short-Term Dividends

Fisher College of Business Working Paper No. 2018-03-016, Charles A. Dice Center Working Paper No. 2018-16, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 14 Feb 2018 Last Revised: 17 Oct 2018
Working Paper Series
Ye Li and Chen Wang
Ohio State University and Yale School of Management
Downloads 172
46.

Learning and Predictability via Technical Analysis: Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals

Number of pages: 52 Posted: 13 Feb 2018 Last Revised: 23 Dec 2019
Working Paper Series
Andrew L. Detzel, Hong Liu, Jack Strauss, Guofu Zhou and Yingzi Zhu
University of Denver - Daniels College of Business, Washington University in St. Louis - Olin Business School, University of Denver - Daniels College of Business, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,379
47.

The Contribution of Frictions to Expected Returns

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 93 Posted: 11 Feb 2018 Last Revised: 20 Jun 2019
Working Paper Series
Kazuhiro Hiraki and George S. Skiadopoulos
Queen Mary, University of London, School of Economics and Finance and Queen Mary, University of London, School of Economics and Finance
Downloads 188
48.

Marketplace Lending: A New Banking Paradigm?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 04 Feb 2018 Last Revised: 24 Jan 2019
Working Paper Series
Boris Vallee and Yao Zeng
Harvard Business School - Finance Unit and University of Washington - Michael G. Foster School of Business
Downloads 336
49.

Global Portfolio Rebalancing and Exchange Rates

Swiss Finance Institute Research Paper No. 18-03, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 49 Posted: 31 Jan 2018 Last Revised: 05 Jun 2018
Working Paper Series
Nelson Camanho, Harald Hau and Hélène Rey
School of Economics and Finance, Queen Mary University of London, University of Geneva - Geneva Finance Research Institute (GFRI) and London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 214
50.

Is Liquidity Risk Priced in Partially Segmented Markets?

Swiss Finance Institute Research Paper No. 18-05, Paris December 2018 Finance Meeting EUROFIDAI - AFFI, HEC Paris Research Paper No. FIN-2018-1254
Number of pages: 54 Posted: 18 Jan 2018 Last Revised: 04 Jun 2018
Working Paper Series
Ines Chaieb, Vihang R. Errunza and Hugues Langlois
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and HEC Paris - Finance Department
Downloads 135